Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0284 |
| Annualized Std Dev | 0.2503 |
| Annualized Sharpe (Rf=0%) | 0.1133 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4296.0000 |
| NAs | 1.0000 |
| Minimum | -0.2063 |
| Quartile 1 | -0.0056 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0065 |
| Maximum | 0.2408 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0158 |
| Skewness | -0.0112 |
| Kurtosis | 36.0080 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0115 |
| Gain Deviation | 0.0120 |
| Loss Deviation | 0.0137 |
| Downside Deviation (MAR=210%) | 0.0157 |
| Downside Deviation (Rf=0%) | 0.0114 |
| Downside Deviation (0%) | 0.0114 |
| Maximum Drawdown | 0.7197 |
| Historical VaR (95%) | -0.0204 |
| Historical ES (95%) | -0.0376 |
| Modified VaR (95%) | -0.0143 |
| Modified ES (95%) | -0.0143 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-22 | 2009-03-09 | 2011-12-23 | -0.7197 | 1160 | 453 | 707 |
| 2020-02-13 | 2020-03-23 | NA | -0.4858 | 278 | 27 | NA |
| 2015-02-04 | 2016-01-20 | 2017-02-09 | -0.2882 | 509 | 242 | 267 |
| 2017-06-19 | 2018-12-24 | 2019-07-18 | -0.2559 | 524 | 383 | 141 |
| 2004-03-18 | 2004-07-27 | 2005-06-10 | -0.2144 | 311 | 90 | 221 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | 0.1 | 0 | -0.6 | 0.1 | 2 | 0.4 | 2.6 | 1 | 2.6 | -0.9 | 1.3 | 9 |
| 2005 | 0.6 | 0.5 | 0.3 | 0.8 | 0.5 | 1.6 | 1 | 1.2 | 0.1 | -0.8 | 1.6 | -0.2 | 7.4 |
| 2006 | 0.3 | 0.3 | 0.2 | -0.3 | 1.1 | 0.4 | 1.1 | -0.1 | -0.7 | 1.1 | 1 | -0.5 | 4.1 |
| 2007 | 2.8 | -0.7 | 0.8 | 0.7 | -0.3 | -0.3 | 0.9 | 0.6 | 0.7 | -0.5 | 0.6 | -0.1 | 5.4 |
| 2008 | 0.3 | -1.6 | 3.6 | 2 | 0.4 | -0.6 | -1 | -0.5 | 2.3 | 0.6 | -4.3 | 0.9 | 1.8 |
| 2009 | -2.3 | -2.5 | 4.8 | 1.1 | 4 | -0.2 | 1.6 | -0.2 | 0.5 | -0.8 | 2.6 | 0.1 | 8.9 |
| 2010 | 10.1 | -0.8 | -0.2 | -0.2 | -2.5 | -1.2 | 2 | 1.5 | 1.4 | -1 | 1.4 | -0.9 | 9.3 |
| 2011 | 0.3 | 0.5 | 0.2 | -0.7 | -0.9 | 0.1 | -0.6 | 1.2 | -0.9 | 0.7 | -0.7 | 0 | -0.9 |
| 2012 | 0.9 | 0.6 | 0.6 | -0.3 | -0.2 | 1 | 0.2 | -0.1 | 0 | 0.2 | 1.2 | 0 | 4.2 |
| 2013 | 0.3 | 0.2 | 0.4 | -1.3 | -2 | -0.1 | 0.5 | 0.1 | 0.8 | -0.3 | -0.4 | 0.2 | -1.8 |
| 2014 | 0.9 | -0.1 | 0.2 | 0.6 | -0.3 | 0.1 | -1.1 | 0.5 | 0.7 | 0.8 | -1 | 0.6 | 2 |
| 2015 | -0.8 | 0 | 0 | 0.6 | 0.4 | 1.1 | 0.9 | -1.2 | -0.1 | 0.3 | 0.5 | -0.7 | 1 |
| 2016 | 1 | 0.4 | -0.5 | 0.1 | 0.2 | -0.2 | -0.4 | 0.3 | -0.1 | -0.6 | -1.2 | -0.9 | -2.1 |
| 2017 | -0.3 | 0.9 | -0.1 | -0.7 | -0.7 | 0.6 | 0.3 | 0.4 | 0.6 | -0.1 | 0.3 | 0.1 | 1.2 |
| 2018 | -0.7 | -0.6 | 1.3 | 0.4 | -0.1 | 0 | 0.3 | -0.7 | 1.1 | 0.6 | 1 | 0.6 | 3.3 |
| 2019 | 0 | 0.1 | 0.1 | -0.2 | -0.1 | 0.1 | 0.7 | 0.5 | -0.4 | 0.4 | 0.1 | -0.6 | 0.4 |
| 2020 | -1.5 | -4.9 | -11.8 | -1.8 | 2.5 | 1.4 | 0 | -0.1 | 0.4 | -1.1 | -0.1 | -0.1 | -16.6 |
| 2021 | 0.2 | 2.7 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-02-25 20.0 SPY 115. 4.20e-3 -0.0068 -0.0086 0.102 0.360 -0.119 -0.0755 <NA> NA NA NA
2 2004-02-26 20.0 SPY 115. 6.00e-4 -0.0025 0.0023 0.0886 0.381 -0.105 -0.099 <NA> NA NA NA
3 2004-02-27 20 SPY 115. 7.00e-4 0.00120 0.0146 0.0852 0.364 -0.0844 -0.0979 <NA> NA NA NA
4 2004-03-01 20.0 SPY 116. 9.90e-3 0.0137 0.0236 0.092 0.368 -0.0767 -0.0726 <NA> NA NA NA
5 2004-03-02 20 SPY 115. -5.90e-3 0.0095 0.0176 0.0848 0.373 -0.0759 -0.0692 <NA> NA NA NA
6 2004-03-03 20.0 SPY 116. 1.80e-3 0.0071 0.0151 0.0752 0.398 -0.0935 -0.0637 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
